Yes, I think performance ultimately matters much more than risk preferences. If you really want to take that into account you can just define utility as a function of wealth, and then maximize the growth of utility instead. But I think risk-aversion has been way overemphasized by academics that weren’t thinking about ergodicity, and were thinking along St Petersburg Paradox lines that any +EV bet must be rational, so when people don’t take +EV bets they must be irrationally risk-averse.
Yes, I think performance ultimately matters much more than risk preferences. If you really want to take that into account you can just define utility as a function of wealth, and then maximize the growth of utility instead. But I think risk-aversion has been way overemphasized by academics that weren’t thinking about ergodicity, and were thinking along St Petersburg Paradox lines that any +EV bet must be rational, so when people don’t take +EV bets they must be irrationally risk-averse.